Estimating Value-at-Risk and Expected Shortfall using the intraday low and range data (English)
- New search for: Meng, Xiaochun
- New search for: Taylor, James W.
- New search for: Meng, Xiaochun
- New search for: Taylor, James W.
In:
European Journal of Operational Research
;
280
, 1
;
191-202
;
2019
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ISSN:
- Article (Journal) / Electronic Resource
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Title:Estimating Value-at-Risk and Expected Shortfall using the intraday low and range data
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Contributors:Meng, Xiaochun ( author ) / Taylor, James W. ( author )
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Published in:European Journal of Operational Research ; 280, 1 ; 191-202
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Publisher:
- New search for: Elsevier B.V.
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Publication date:2019-07-05
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Size:12 pages
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ISSN:
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DOI:
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Type of media:Article (Journal)
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Type of material:Electronic Resource
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Language:English
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Keywords:
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Source:
Table of contents – Volume 280, Issue 1
The tables of contents are generated automatically and are based on the data records of the individual contributions available in the index of the TIB portal. The display of the Tables of Contents may therefore be incomplete.
- 1
-
Decision support models in climate policyDoukas, Haris / Nikas, Alexandros et al. | 2019
- 25
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Analysis of flow shop scheduling anomaliesPanwalkar, S.S. / Koulamas, Christos et al. | 2019
- 34
-
Generating hard instances for robust combinatorial optimizationGoerigk, Marc / Maher, Stephen J. et al. | 2019
- 46
-
Semidefinite programming lower bounds and branch-and-bound algorithms for the quadratic minimum spanning tree problemGuimarães, Dilson Almeida / da Cunha, Alexandre Salles / Pereira, Dilson Lucas et al. | 2019
- 59
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The case for the use of multiple imputation missing data methods in stochastic frontier analysis with illustration using English local highway dataStead, Alexander D. / Wheat, Phill et al. | 2019
- 78
-
On interactive sequencing situations with exponential cost functionsSaavedra-Nieves, Alejandro / Schouten, Jop / Borm, Peter et al. | 2019
- 90
-
Controlling distribution inventory systems with shipment consolidation and compound Poisson demandJohansson, Lina / Sonntag, Danja R. / Marklund, Johan / Kiesmüller, Gudrun P. et al. | 2019
- 102
-
Designing a two-echelon distribution network under demand uncertaintyBen Mohamed, Imen / Klibi, Walid / Vanderbeck, François et al. | 2019
- 124
-
Maintenance policy for a system with a weighted linear combination of degradation processesWu, Shaomin / Castro, Inma T. et al. | 2019
- 134
-
Agency selling or reselling: E-tailer information sharing with supplier offline entryZhang, Shichen / Zhang, Jianxiong et al. | 2019
- 152
-
Modeling past-dependent partial repairs for condition-based maintenance of continuously deteriorating systemsHuynh, K.T. et al. | 2019
- 164
-
Exact solution of the soft-clustered vehicle-routing problemHintsch, Timo / Irnich, Stefan et al. | 2019
- 179
-
Predictive modeling of inbound demand at major European airports with Poisson and Pre-Scheduled Random ArrivalsLancia, Carlo / Lulli, Guglielmo et al. | 2019
- 191
-
Estimating Value-at-Risk and Expected Shortfall using the intraday low and range dataMeng, Xiaochun / Taylor, James W. et al. | 2019
- 203
-
Allocation planning under service-level contractsKloos, Konstantin / Pibernik, Richard et al. | 2019
- 219
-
Meta-frontier analysis using cross-efficiency method for performance evaluationChen, Lei / Huang, Yan / Li, Mei-Juan / Wang, Ying-Ming et al. | 2019
- 230
-
Global sub-increasing and global sub-decreasing returns to scale in free disposal hull technologies: Definition, characterization and calculationMostafaee, Amin / Soleimani-damaneh, Majid et al. | 2019
- 242
-
A conic relaxation model for searching for the global optimum of network data envelopment analysisChen, Kun / Cook, Wade D. / Zhu, Joe et al. | 2019
- 254
-
Dynamic multi-priority, multi-class patient scheduling with stochastic service timesSauré, Antoine / Begen, Mehmet A. / Patrick, Jonathan et al. | 2019
- 266
-
A risk-based modeling approach for radiation therapy treatment planning under tumor shrinkage uncertaintyLim, Gino J. / Kardar, Laleh / Ebrahimi, Saba / Cao, Wenhua et al. | 2019
- 279
-
Filtering for risk assessment of interbank networkSimaan, Majeed / Gupta, Aparna / Kar, Koushik et al. | 2019
- 295
-
Project schedule performance under general mode implementation disruptionsBurgelman, Jeroen / Vanhoucke, Mario et al. | 2019
- 312
-
Operational asymptotic stochastic dominanceHuang, Rachel J. / Tzeng, Larry / Wang, Jr-Yan / Zhao, Lin et al. | 2019
- 323
-
Profit allocation in investment-based crowdfunding with investors of dynamic entry timesYang, Yunshen / Bi, Gongbing / Liu, Lindong et al. | 2019
- 338
-
Discovering heterogeneous consumer groups from sales transaction dataLee, Haengju / Eun, Yongsoon et al. | 2019
- 351
-
Direction selection in stochastic directional distance functionsLayer, Kevin / Johnson, Andrew L. / Sickles, Robin C. / Ferrier, Gary D. et al. | 2019
- 365
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Are solar panels commodities? A Bayesian hierarchical approach to detecting quality differences and asymmetric informationMauritzen, Johannes et al. | 2019
- 383
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Price dynamics in the European Union Emissions Trading System and evaluation of its ability to boost emission-related investment decisionsFlora, Maria / Vargiolu, Tiziano et al. | 2019
- ii
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Prelim p. 2; First issue - Editorial Board| 2019